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Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model
Markov chain Monte Carlo Bayesian Cointegrated VAR model
2010/8/30
This paper develops a matrix-variate adaptive Markov chain Monte Carlo (MCMC) methodology for Bayesian Cointegrated Vector Auto Regressions (CVAR). We replace the popular approach to sampling Bayesia...